Pricing vulnerable lookback options using Laplace transforms

DOI10.1016/J.CAM.2024.116014zbMATH Open1546.91254MaRDI QIDQ6581980

Publication date: 1 August 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Jump processes on discrete state spaces (60J74)

Cites Work

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Pricing and Hedging Path-Dependent Options Under the CEV Process
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